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feat(EXEC-001A): add named strategy templates

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Bu5hm4nn
2026-03-24 12:27:39 +01:00
parent 78a01d9fc5
commit 2161e10626
10 changed files with 949 additions and 61 deletions
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34
app/strategies/engine.py
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@@ -9,10 +9,9 @@ from app.core.pricing.black_scholes import (
DEFAULT_VOLATILITY,
)
from app.models.portfolio import LombardPortfolio
from app.services.strategy_templates import StrategyTemplateService
from app.strategies.base import BaseStrategy, StrategyConfig
from app.strategies.laddered_put import LadderedPutStrategy, LadderSpec
from app.strategies.lease import LeaseStrategy
from app.strategies.protective_put import ProtectivePutSpec, ProtectivePutStrategy
RiskProfile = Literal["conservative", "balanced", "cost_sensitive"]
@@ -34,6 +33,7 @@ class StrategySelectionEngine:
spot_price: float = RESEARCH_GLD_SPOT
volatility: float = RESEARCH_VOLATILITY
risk_free_rate: float = RESEARCH_RISK_FREE_RATE
template_service: StrategyTemplateService | None = None
def _config(self) -> StrategyConfig:
portfolio = LombardPortfolio(
@@ -52,30 +52,12 @@ class StrategySelectionEngine:
def _strategies(self) -> list[BaseStrategy]:
config = self._config()
return [
ProtectivePutStrategy(config, ProtectivePutSpec(label="ATM", strike_pct=1.0, months=12)),
ProtectivePutStrategy(config, ProtectivePutSpec(label="OTM_95", strike_pct=0.95, months=12)),
ProtectivePutStrategy(config, ProtectivePutSpec(label="OTM_90", strike_pct=0.90, months=12)),
LadderedPutStrategy(
config,
LadderSpec(
label="50_50_ATM_OTM95",
weights=(0.5, 0.5),
strike_pcts=(1.0, 0.95),
months=12,
),
),
LadderedPutStrategy(
config,
LadderSpec(
label="33_33_33_ATM_OTM95_OTM90",
weights=(1 / 3, 1 / 3, 1 / 3),
strike_pcts=(1.0, 0.95, 0.90),
months=12,
),
),
LeaseStrategy(config),
template_service = self.template_service or StrategyTemplateService()
template_strategies = [
template_service.build_strategy_from_template(config, template)
for template in template_service.list_active_templates("GLD")
]
return [*template_strategies, LeaseStrategy(config)]
def compare_all_strategies(self) -> list[dict]:
comparisons: list[dict] = []
@@ -149,6 +131,7 @@ class StrategySelectionEngine:
spot_price=self.spot_price,
volatility=volatility,
risk_free_rate=self.risk_free_rate,
template_service=self.template_service,
)
recommendation = engine.recommend("balanced")
results["volatility"].append(
@@ -169,6 +152,7 @@ class StrategySelectionEngine:
spot_price=spot_price,
volatility=DEFAULT_VOLATILITY,
risk_free_rate=DEFAULT_RISK_FREE_RATE,
template_service=self.template_service,
)
recommendation = engine.recommend("balanced")
results["spot_price"].append(